Alternating direction augmented Lagrangian methods for semidefinite programming

@article{Wen2010AlternatingDA,
  title={Alternating direction augmented Lagrangian methods for semidefinite programming},
  author={Zaiwen Wen and Donald Goldfarb and Wotao Yin},
  journal={Mathematical Programming Computation},
  year={2010},
  volume={2},
  pages={203-230}
}
We present an alternating direction dual augmented Lagrangian method for solving semidefinite programming (SDP) problems in standard form. At each iteration, our basic algorithm minimizes the augmented Lagrangian function for the dual SDP problem sequentially, first with respect to the dual variables corresponding to the linear constraints, and then with respect to the dual slack variables, while in each minimization keeping the other variables fixed, and then finally it updates the Lagrange… CONTINUE READING

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